Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0554 |
| Annualized Std Dev | 0.2813 |
| Annualized Sharpe (Rf=0%) | 0.1969 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5134.0000 |
| NAs | 1.0000 |
| Minimum | -0.2663 |
| Quartile 1 | -0.0072 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0081 |
| Maximum | 0.1646 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0003 |
| Stdev | 0.0177 |
| Skewness | -0.4349 |
| Kurtosis | 16.1743 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0128 |
| Gain Deviation | 0.0127 |
| Loss Deviation | 0.0138 |
| Downside Deviation (MAR=210%) | 0.0171 |
| Downside Deviation (Rf=0%) | 0.0126 |
| Downside Deviation (0%) | 0.0126 |
| Maximum Drawdown | 0.7626 |
| Historical VaR (95%) | -0.0279 |
| Historical ES (95%) | -0.0415 |
| Modified VaR (95%) | -0.0251 |
| Modified ES (95%) | -0.0306 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-10-24 | 2002-10-07 | 2014-07-01 | -0.7626 | 3428 | 486 | 2942 |
| 2018-06-15 | 2018-12-24 | 2020-06-18 | -0.4434 | 506 | 133 | 373 |
| 2015-12-02 | 2016-02-09 | 2016-07-20 | -0.2168 | 159 | 47 | 112 |
| 2021-02-17 | 2021-03-08 | NA | -0.1525 | 24 | 14 | NA |
| 2020-09-03 | 2020-09-08 | 2020-11-19 | -0.1232 | 55 | 3 | 52 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.4 | 1.8 | -3.8 | -2.4 |
| 2001 | 0.7 | 1 | -0.5 | 1.6 | 2.1 | 1.4 | 2.7 | 1.2 | -1.4 | 2 | 0 | -1.4 | 9.8 |
| 2002 | -1.6 | 4.2 | 1.5 | -1.6 | 0.8 | -4.4 | -2.9 | -0.1 | 3.4 | 2.5 | 0.9 | -0.6 | 1.8 |
| 2003 | -2.2 | 2.5 | -0.5 | -0.2 | 1.4 | -0.6 | -0.7 | 1.2 | 1.3 | -0.4 | 1.4 | 0 | 3.3 |
| 2004 | 0.7 | 1.4 | 1.7 | -0.8 | -0.5 | -2 | -0.3 | 0.6 | 3.2 | 0.6 | 1.4 | -0.1 | 6 |
| 2005 | 0.1 | 1 | -0.9 | -1.5 | 0.8 | 0.1 | -0.1 | -0.2 | 0.9 | -0.3 | 1.8 | -0.7 | 0.9 |
| 2006 | 0.2 | 1.8 | -0.2 | -0.4 | 2.1 | -0.1 | -1.9 | -0.1 | -0.6 | -1.6 | -1.5 | -0.1 | -2.4 |
| 2007 | 0.4 | -0.7 | -0.1 | 0.4 | 0.1 | -0.5 | 0.9 | 1.2 | 1.4 | -2.1 | -1 | -1 | -1.1 |
| 2008 | 2.9 | -2.9 | 3.7 | 2.6 | 1.1 | -0.1 | -0.1 | -2.3 | -0.2 | -0.2 | -6.5 | 1.4 | -1.1 |
| 2009 | -2.8 | -0.2 | 2.5 | 0.6 | 3.9 | 0.3 | 0.3 | -1.9 | -2.8 | -2.7 | 1.6 | -0.9 | -2.5 |
| 2010 | 1.8 | 1.8 | -0.3 | -2.3 | -1.4 | 0 | 0 | 3.3 | -0.2 | -0.3 | 1.9 | -0.1 | 4.2 |
| 2011 | 2.1 | -1.8 | 0.1 | -0.6 | -2.1 | 1.4 | -0.5 | -1 | -2.6 | -2.3 | 1 | -0.1 | -6.4 |
| 2012 | 2.4 | 0.3 | 0.3 | 0.9 | -3.2 | 3.8 | -0.4 | 0.6 | -0.5 | 1.7 | -0.2 | 2 | 7.7 |
| 2013 | 1.1 | 0.5 | -0.6 | -0.8 | -0.5 | 0.6 | 1.2 | -0.4 | 0.5 | -0.2 | 0.4 | 0.3 | 2 |
| 2014 | -0.1 | -0.6 | 1.4 | 0.2 | -0.4 | 1.2 | -0.4 | 0.4 | -1.9 | 2.7 | -0.9 | -0.2 | 1.2 |
| 2015 | 0.2 | -0.1 | -0.8 | 0.6 | 0.6 | 0.3 | -0.3 | -3.4 | 0.5 | 0.3 | 1.2 | -0.7 | -1.7 |
| 2016 | 0.8 | 2.1 | 0.4 | -0.5 | -0.1 | 0.4 | 0.1 | 0.2 | 0.4 | -0.7 | -3 | -0.7 | -0.7 |
| 2017 | -0.1 | 0.6 | 0.2 | 0.9 | 1 | -0.1 | 0.3 | 0.5 | 0.7 | -0.2 | -0.6 | -0.7 | 2.5 |
| 2018 | -0.9 | -1.6 | 2.1 | 0.9 | 2 | 0.2 | 0 | 0.1 | 0.6 | 2.4 | 1.2 | 0.9 | 7.9 |
| 2019 | 0.2 | 0.4 | 1.9 | -0.5 | -1.9 | 1.8 | -1.1 | 0.1 | -0.7 | 0.9 | -0.5 | 0.3 | 0.8 |
| 2020 | -2.1 | 0.7 | -4.6 | -3.9 | 0.3 | 1.4 | 0.2 | 1.5 | 2 | -2.7 | 1.5 | -0.1 | -5.9 |
| 2021 | 3.3 | 3.4 | 0.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 7.6 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
